2 search results - page 1 / 1 » Comparison of Granger Causality and Phase Slope Index |
JMLR
2010
13 years 2 months ago
2010
We recently proposed a new measure, termed Phase Slope Index (PSI), It estimates the causal direction of interactions robustly with respect to instantaneous mixtures of independen...
JMLR
2011
13 years 2 months ago
2011
A widely agreed upon definition of time series causality inference, established in the seminal 1969 article of Clive Granger (1969), is based on the relative ability of the histor...